Namespace TuringTrader.Simulator

Classes

Algorithm

Abstract base class for trading algorithms. All Turing Trader algorithms must be derived from this class, and override the Run() and Report() methods.

AlgorithmLoader

Helper class for dynamic algorithm instantiation.

Container class holding all fields of a single bar, most notably time stamps and price information. Bar objects are read-only in nature, therefore all values need to be provided during object construction.

BrokerClientIB

Broker client class for Interactive Brokers.

BrokerClientIB.InstrumentInfo

Container holding instrument info and quotes.

BrokerClientIBBase

Base class for IB broker client.

CacheId

Unique ID to identify cache objects.

Cache<T>

Cache template class. The cache is at the core of TuringTrader's auto-magic indicator objects, as well as the the data sources. Cache objects are accessed via a cryptographic key, which is created by the CacheId class.

DataSource

Base class for data sources, providing a bar enumerator for one or more instruments. Other than instantiating data sources through the factory method New(), and adding them to the Algorithm's DataSources property, application developers do not need to interact with data sources directly.

DataSourceCollection

Collection of data source implementations. There is no need for application developers to interact with this class directly.

DataSourceHelper

Helper functionality for data sources

DataUpdater

Abstract base class for data updater. Data updaters are instantiated as required by the data source, and there is no need for application developers to interact with them directly.

DataUpdaterCollection

Collection of data updater implementations. There is no need for application developers to interact with this class directly.

DynamicCompile

Helper class to dynamically compile C# source code

GlobalSettings

Class providing read/ write access to global settings, stored in the Windows registry.

HolidayCalendar

Holiday calendar for U.S. stock exchanges

Instrument

Class representing a tradeable instrument. In essence, an instrument is a time series of bars, enriched by general information about the data source which feeds this instrument. Instruments are created automatically by the simulator engine as required, in many cases leading to instruments being added over the course of a simulation. As indicators typically run on time series of double, instruments break down the time series of bars into multiple series of doubles.

LogAnalysis

Helper class to analyze order log.

LogAnalysis.Position

Container to hold historic position information

LogEntry

Entry to order log.

MTJobQueue

Multi-threaded job queue. A job queue allows a fixed number of jobs to be executed in parallel, typically one per CPU core. If the number of jobs exceeds the maximum parallelism, the jobs are queued until a slot becomes available. This class is at the core of TuringTrader's optimizer, but also used for parallel data updating.

Order

Order ticket

Output

Class providing formatted text output.

Plotter

Class to log data, and save as CSV, or present with Excel or R.

Plotter.SheetNames

Standard report sheet names. These are defined here, so that they can be accessed by the algorithms (or the glue logic), and by the report templates.

SimulatorCore

Simulator engine core, managing data sources and instruments, processing a sequence of bars, simulating trades, keeping track of positions, and maintaining log information.

TimeSeries<T>

Template class for time series data. A TimeSeries object will allow limited access to the historical values of the series, by default 256 values back. TuringTrader makes extensive use of time series objects for the implementation of data sources and indicators.

Universe

Base class for universes, providing an enumerable for constituents, and a method of checking if an instrument was a constituent at a specific point in time.

UniverseExtension

Extension methods for Universe.

Interfaces

IAlgorithm

Application interface to trading algorithms.

ITimeSeries<T>

Interface for time series data. This interface provides access to a limited number of historical values.

Delegates

Plotter.renderer

Delegate for renderer event.

Namespace TuringTrader.Simulator

Classes

Interfaces

Enums

Delegates